High Water Marks

We thank Stephen Brown, Judy Chevalier, Bruce Lehmann, N. Prabhala and two anonymous referees for helpful comments and discussion. We also thank participants in the 1998 NBER Asset Pricing Workshop and the 1998 WFA meetings. Please direct correspondence to: William N. Goetzmann, Yale School of Management, Box 208200, New Haven, CT 06520-8200 (william.goetzmann@yale.edu). The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.